| ARIMA
The ARIMA command estimates Univariate ARIMA models. There are 3 forms of the command:
IDENTIFICATION, ESTIMATION, and
FORECASTING. The specified options determine which form of the ARIMA command is in effect.
IDENTIFICATION PHASE
In general, the format is:
ARIMA vars / options
where vars is a list of variables. The available options are:
| Option |
Description |
| ALL |
Compute all orders up to and
including NDIFFand NSDIFF. |
| IAC |
Compute inverse autocorrelations.
(reference: Cleveland, Technometrics, 1972, pp.277-293) |
| GRAPHAC |
Prepare GNUPLOT plots for the
PLOTAC, PLOTDATA, and GRAPHDATA PLOTPAC options. |
| GRAPHPAC |
|
| LOG |
Take logs of the data. |
| PLOTAC |
Plot autocorrelation function. |
| PLOTDATA |
Plot data. |
| PLOTPAC |
Plot partial autocorrelation
function. |
| WIDE/NOWIDE |
Controls size of terminal screen
output. |
| ACF= |
Saves the AutoCorrelation Function
in the variable specified. |
| BEG= END= |
First and last observation to be
used. |
| NDIFF= |
Order of differencing to transform
the data. |
| NLAG= |
The number of lags for
autocorrelations. The default is 24. |
| NLAGP= |
The number of lags for partial
autocorrelations. The default is 12. (The value for NLAGP= must not
exceed that for NLAG=). |
| NSDIFF= |
Order of Seasonal Differencing. If
this is specified then NSPAN= must be set. |
| NSPAN= |
The number of periods for the
seasonal cycle. For example, set NSPAN=4 for quarterly data and
NSPAN=12 for monthly data. |
| PACF= |
Saves the Partial AutoCorrelation
Function in the variable specified. |
| TESTSTAT= |
Saves the Ljung-Box-Pierce
statistics (computed at every lag) in the variable specified. |
The available temporary variables are:
$N - the number of observations used in the identification phase.
ESTIMATION PHASE
In general, the format is:
ARIMA var /
NAR= NMA= options
where var is a variable. The available options as used for the
IDENTIFICATION phase are:
LOG, WIDE, BEG=,
END=, NDIFF=, NSDIFF=,
NSPAN=.
The available options as used for the OLS command are:
ANOVA, PCOR, PCOV,
COV=, STDERR=, TRATIO=.
Other options are:
| Option |
Description |
|
DN
|
Computes the estimated variance of the
regression by dividing SIGMA**2 by N instead of (N-K).
|
|
GRAPHRES
|
Prepare GNUPLOT plots for the PLOTRES
option.
|
|
NOCONSTANT
|
No intercept in model.
|
|
PITER
|
Print every iteration.
|
|
PLOTRES
|
Plot the residuals.
|
|
RESTRICT
|
Use zero starting values as zero
restrictions.
|
|
START
|
Starting values for coefficients follow
the ARIMA command.
|
|
ACF=
|
Saves the AutoCorrelation Function of the
estimated residuals in the variable specified.
|
|
COEF=
|
Save Coefficients in variable specified.
|
|
ITER=
|
Maximum number of iterations. The default
is 50.
|
|
NAR=
|
Order of the AR process. (REQUIRED)
|
|
NMA=
|
Order of the MA process (REQUIRED).
|
|
NSAR=
|
Order of the Seasonal AR process. If this
is specified then NSPAN= must be set.
|
|
NSMA=
|
Order of the Seasonal MA process. If this
is specified then NSPAN= must be set.
|
|
PREDICT=
|
Save Predicted values in variable
specified.
|
|
RESID=
|
Save Residuals in variable specified.
|
|
START=
|
A vector of starting values.
|
|
TESTSTAT=
|
Saves the Ljung-Box-Pierce statistics
(computed at every lag -up to 60 lags) in the variable specified.
|
Following model estimation the available temporary variables as for
the OLS command are:
$ERR, $K, $N,
$R2, $SIG2, $SSE,
$SSR, $SST.
FORECASTING PHASE
In general, the format is:
ARIMA var /
COEF= NAR= NMA=
FBEG= FEND= options
where var is a variable. The available options as used for the
IDENTIFICATION and ESTIMATION phase are:
LOG, NOCONSTANT,
BEG=, END=, NAR=,
NDIFF=, NMA=, NSAR=,
NSDIFF=, NSMA=, NSPAN=,
PREDICT=, RESID=.
Other options are:
| Option |
Description |
|
GRAPHFORC
|
Prepare GNUPLOT plots for the PLOTFORC option.
|
|
PLOTFORC
|
Plot the forecast with error bounds.
|
|
COEF=
|
Input coefficient variable. If this is not specified
then coefficients must be entered on the line following
the ARIMA command.
|
|
FBEG=
|
The origin date of the forecast (required).
|
|
FEND=
|
Last observation to forecast (required).
(The maximum number of forecasts is 200.)
|
|
FCSE=
|
Saves the forecast standard errors in the variable.
|
|
SIGMA=
|
Used in calculating the forecast standard errors.
|
By default the data for the current sample period will
be used to estimate SIGMA. A recommended approach is following estimation enter:
GEN1
S=SQRT($SIG2).
Then use the option SIGMA=S for the ARIMA forecasting.
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